There used to be some on the market, but they are now illegal for civilian ownership these days.
IMO, they were not terribly useful. They held only a very small powder charge, and detonated on contact. I believe they would cause some really nasty surface wounds but really would add little if anything to the lethality of the bullet.
BTW, if you see someone in a movie shot with an exploding pistol bullet and being more or less vaporized from the waist up, remember it happened because it was in the script, not because it is possible.
Doc